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The valuation of barrier options under a threshold rough Heston model

Journal of Management Science and Engineering 2023年第1期8卷 15-31页

作者： Kevin Z.Tong Allen Liu Department of Mathematics and Statistics University of Ottawa585 King EdwardOttawaOntarioK1N 6N5Canada Enterprise Risk and Portfolio Management Bank of MontrealFirst Canadian PlaceTorontoOntarioM5X 1A3Canada

In this paper,we propose a novel model for pricing double barrier options,where the asset price is modeled as a threshold geometric Brownian motion time changed by an integrated activity rate process,which is driven by the convolution of a fractional kernel with the CIR *** new model both captures the leverage effect and produces rough paths for the volatility *** model also nests the threshold diffusion,Heston and rough Heston *** can derive analytical formulas for the double barrier option prices based on the eigenfunction expansion *** also implement the model and numerically investigate the sensitivities of option prices with respect to the parameters of the model.

关键词： Rough stochastic volatility Threshold diffusion barrier options Eigenfunction expansion Stochastic time change

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Pricing of discrete barrier options based on an analytical method

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Journal of Southeast University(English Edition) 2017年第4期33卷 511-516页

作者： Hu Xiaoping Cao Jie School of Economics and Management Southeast University Nanjing 210096 China School of Mathematical Statistics Nanjing University of Information Science and Technology Nanjing 210044 China

The problem o f analytically pricing the discrete monitored European barrier options is studied under the assumption of the Black-Scholes ***,using variable transformation,the mean vector and covariance matrix of multi-dimensional marginal distribution are ***,the analytica pricing formulas of the discrete monitored upknock-out European call option and the discrete monitored down-knock-out European put option a e obtained by using the conditional probability and the characteristics o f the multidimensional normal ***,the effects of the discrete monitoring barriers on the prices of the barrier optionsare discussed and *** research results state that the price o f the discrete monitored up-knock-out European call option mcreases with the increase in the up barrier,a d the price o f the discrete monitored down-knock-out European put option decreases with the increase in the down barrier.

关键词： discrete monitored barrier options pricing analytical method

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The Utilization of Exotic options in the Formation of Structured Products

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Journal of Modern Accounting and Auditing 2012年第12期8卷 1814-1822页

作者： Martina Rusnakova Abduhamid M. Ahmed Younis Technical University of Kosice Kosice Slovakia

This paper deals with the issue of investment certificate formation in the financial market. Investment certificate is a type of structured products, the value of which is derived from the value of an underlying asset. The underlying asset is usually a share in a company, a basket of shares, or an entire index, etc.. It can be stated that for every estimated development of an asset （growth, fall, and stagnation） or for every attitude to risks （conservative or aggressive investors）, there is a suitable kind of certificate. The main objective is to perform an analysis of the structured product--Austria/Germany Bond 3 and its guarantee certificate construction using digital-barrier options. The authors have found an alternative opportunity to the purchase of this certificate, i.e., investment in a bank deposit, together with a purchase of cash or nothing down and four-knock-out call options and a sale of cash or nothing down and four-knock-out put options. The authors prove that the alternative investment has the same profit profile as the certificate. The authors made this analysis with the objective to contribute to the intellectualization of investors.

关键词： investment certificates vanilla options barrier options digital options profit profile

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Toxic Currency options in Poland as a Consequence of the 2008 Financial Crisis

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Chinese Business Review 2015年第12期14卷 561-572页

作者： Kamil Liberadzki Warsaw School of Economics Warszawa Poland

The paper is on toxic foreign exchange options problem which occurred in Poland just prior to and after the outbreak of the recent crisis. Especially Polish enterprises were severely stricken by transactions on fx and interest rate derivatives contracted with their banks. Poland was the only EU country which did not precipitate into recession during the financial crisis beginning in 2008. However, the toxic fx and interest rate derivatives transmitted the shockwaves from global financial markets into Poland. Huge dimensions of losses resulted in conflicts between banks and their customers, who claimed just being cheated by the financial institutions. The article deeply researches into reasons for such developments on Polish fx over-the-counter derivatives market. As a case study, an authentic strategy has been presented. The contract was concluded between the construction company and one of the biggest commercial banks in Poland. Because the case study may be representative for many other cases, the analysis includes exact pricing of option strategy and therefore reveals inequality of the contract. The consequences of non-implementing the MiFID directive in the context of derivatives offering to non-financial customers were also touched in the paper.

关键词： toxic foreign exchange options MiFID risk reversal foreign exchange portfolio hedging exotic options barrier options option strategies

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